Arbitrage-free pricing of derivatives in nonlinear market models-Reference-Cited by-同舟云学术

Arbitrage-free pricing of derivatives in nonlinear market models

Published:2018-04-21 Issue:1 Volume:3 Page:
ISSN:2367-0126
Container-title:Probability, Uncertainty and Quantitative Risk
language:en
Short-container-title:Probab Uncertain Quant Risk

Author:

Bielecki Tomasz R.,Cialenco Igor,Rutkowski Marek

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

General Medicine

Link

http://link.springer.com/content/pdf/10.1186/s41546-018-0027-x.pdf

Reference51 articles.

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3. Bergman, YZ: Option pricing with differential interest rates. Review of Financial Studies. 8, 475–500 (1995).

4. Bichuch, M, et al.: Arbitrage-free XVA. Mathematical Finance. 28(2), 582–620 (2018).

5. Bielecki, TR, Rutkowski, M: Valuation and hedging of contracts with funding costs and collateralization. SIAM Journal of Financial Mathematics. 6, 594–655 (2015).

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